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Author: Sotiris Tsolacos
Publisher:
ISBN:
Category :
Languages : en
Pages : 45
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Book Description
This paper employs a probit model and a Markov switching model using information from the Conference Board Leading Indicator series to detect the turning points in four key US commercial rents series. We find that both the approaches based on the leading indicator have considerable power to predict changes in the direction of commercial rents up to two years ahead, exhibiting strong improvements over a naïve model, especially for the warehouse and apartment sectors. The empirical support for the adequacy of these prediction methodologies, from both in-sample and real time forecasting assessments, makes them a valuable tool to real estate professionals forecasting the US real estate markets. We find that while the Markov switching model nominally appears to be more successful in predicting periods of negative growth, it lags behind actual turnarounds in market outcomes whereas the probit is able to detect turning points several quarters ahead.
Author: Sotiris Tsolacos
Publisher:
ISBN:
Category :
Languages : en
Pages : 45
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Book Description
This paper employs a probit model and a Markov switching model using information from the Conference Board Leading Indicator series to detect the turning points in four key US commercial rents series. We find that both the approaches based on the leading indicator have considerable power to predict changes in the direction of commercial rents up to two years ahead, exhibiting strong improvements over a naïve model, especially for the warehouse and apartment sectors. The empirical support for the adequacy of these prediction methodologies, from both in-sample and real time forecasting assessments, makes them a valuable tool to real estate professionals forecasting the US real estate markets. We find that while the Markov switching model nominally appears to be more successful in predicting periods of negative growth, it lags behind actual turnarounds in market outcomes whereas the probit is able to detect turning points several quarters ahead.
Author: Kajal Lahiri
Publisher: Cambridge University Press
ISBN: 9780521438582
Category : Business & Economics
Languages : en
Pages : 488
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Book Description
Developed fifty years ago by the National Bureau of Economic Research, the analytic methods of business cycles and economic indicators enable economists to forecast economic trends by examining the repetitive sequences that occur in business cycles. The methodology has proven to be an inexpensive and useful tool that is now used extensively throughout the world. In recent years, however, significant new developments have emerged in the field of business cycles and economic indicators. This volume contains twenty-two articles by international experts who are working with new and innovative approaches to indicator research. They cover advances in three broad areas of research: the use of new developments in economic theory and time-series analysis to rationalise existing systems of indicators; more appropriate methods to evaluate the forecasting records of leading indicators, particularly of turning point probability; and the development of new indicators.
Author: James H. Stock
Publisher: University of Chicago Press
ISBN: 0226774740
Category : Business & Economics
Languages : en
Pages : 350
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Book Description
The inability of forecasters to predict accurately the 1990-1991 recession emphasizes the need for better ways for charting the course of the economy. In this volume, leading economists examine forecasting techniques developed over the past ten years, compare their performance to traditional econometric models, and discuss new methods for forecasting and time series analysis.
Author: James H. Stock
Publisher:
ISBN:
Category : Business cycles
Languages : en
Pages : 100
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Book Description
This paper examines the forecasting performance of various leading economic indicators and composite indexes since 1988. in particular during the onset of the 1990 recession. The primary focus is on an experimental recession index (tile "XRI"). a composite index which provides probabilistic forecasts of whether the U.S. economy will be in a recession six months hence. After detailing its construction, the paper examines the out-of-sample performance of the XRI and a related forecast of overall economic growth. the experimental leading index (XLI). These indexes performed well from 1988 through the summer of 1990 - for example. in June 1990 the XLI model forecasted a .4% (annual rate) decline in the experimental coincident index from June through September. when in fact the decline was only slightly greater, .8%. However. the XLI failed to forecast the sharp declines of October and November 1990. After exploring several possible explanations. we conclude that one important source of the forecast error was the use of financial variables during a recession that was not associated with a particularly tight monetary policy. Financial indicators -- and the experimental index -- were not alone. however. in failing to forecast the 1990 recession, An examination of 45 economic indicators shows that almost all failed to forecast the 1990downturn. and the few that did provided unclear signals before the recessions of the 19705 and 1980s
Author: Victor Zarnowitz
Publisher: University of Chicago Press
ISBN: 0226978923
Category : Business & Economics
Languages : en
Pages : 613
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Book Description
This volume presents the most complete collection available of the work of Victor Zarnowitz, a leader in the study of business cycles, growth, inflation, and forecasting.. With characteristic insight, Zarnowitz examines theories of the business cycle, including Keynesian and monetary theories and more recent rational expectation and real business cycle theories. He also measures trends and cycles in economic activity; evaluates the performance of leading indicators and their composite measures; surveys forecasting tools and performance of business and academic economists; discusses historical changes in the nature and sources of business cycles; and analyzes how successfully forecasting firms and economists predict such key economic variables as interest rates and inflation.
Author: Shivaram Rajgopal
Publisher:
ISBN:
Category :
Languages : en
Pages : 47
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Book Description
A number of recent studies assume market efficiency and hence interpret an association between stock returns and leading indicators as evidence of the contribution of such indicators to future earnings. We explicitly examine (i) whether one leading indicator - order backlog - has predictive ability for future earnings, and (ii) whether market participants correctly incorporate such predictive ability in determining share prices. We find that the stock market overweights the contribution of order backlog in predicting future earnings and a hedge strategy that takes positions on the cross-sectional distribution of backlog generates significant future abnormal returns. Additional analysis indicates that the market mispricing is not due to analysts' inability to incorporate order backlog into their earnings forecasts.
Author: Ronald J. Baker
Publisher: John Wiley & Sons
ISBN: 0470056274
Category : Business & Economics
Languages : en
Pages : 210
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Book Description
Measure What Matters to Customers reveals how to capitalize on Key Predictive Indicators (KPIs), the innovative measures that define the success of your enterprise as your customers do. If you want to increase your company's profits by working smarter, this is the book for you.
Author: Kajal Lahiri
Publisher: Emerald Group Publishing
ISBN: 0857241478
Category : Business & Economics
Languages : en
Pages : 143
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Book Description
Addressing the role that the transportation sector plays in business cycle propagation, this title presents an index of the different indicators for this sector to identify its state, and predict its future, using various statistical procedures.
Author: Mr.Ramana Ramaswamy
Publisher: International Monetary Fund
ISBN: 1451978928
Category : Business & Economics
Languages : en
Pages : 32
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Book Description
This paper derives a set of leading indicators of inflation for Sweden. It also discusses methodological and policy issues pertaining to the estimation of these indicators. The main findings are: (1) narrow money is the most powerful leading inflation indicator; (2) broad money and inflation expectations have significant predictive information on inflation; (3) the output gap, interest rates, and the credit aggregate have some predictive information on inflation, and this information is confined to a shorter time horizon than either the monetary aggregates or inflation expectations; and (4) implied forward rates have only weak predictive information on inflation.
Author: Frank K. Reilly
Publisher: 中信出版社
ISBN: 9787800735042
Category : Business enterprises
Languages : en
Pages : 1284
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Book Description
本书向您介绍了投资分析与组合管理。
